文章基本信息

标题：On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi
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作者：Zuhair Bahraoui ; Catalina Bolancé ; Elena Pelican 等
期刊名称：SORT-Statistics and Operations Research Transactions
印刷版ISSN：2013-8830
出版年度：2015
卷号：39
期号：2
页码：209-230
语种：English
出版社：SORT- Statistics and Operations Research Transactions
摘要：The Sarmanov family of distributions can provide a good model for bivariate random variables and it is used to model dependency in a multivariate setting with given marginals. In this paper, we focus our attention on the bivariate Sarmanov distribution and copula with different truncated extreme value marginal distributions. We compare a global estimation method based on maximizing the full log-likelihood function with the estimation based on maximizing the pseudo-log-likelihood function for copula (or partial estimation). Our aim is to estimate two statistics that can be used to evaluate the risk of the sum exceeding a given value. Numerical results using a real data set from the motor insurance sector are presented.
关键词：Bivariate Sarmanov distribution, truncated marginal distributions, copula representation, risk measures